Situation: your Silverlight 3 application is calling a web service and while it works fine in the browser, it miserably fails in out of the browser mode (OOB).
Don’t panic. It seems that you cannot call a webservice (in App.xaml.cs) before having assigned the application’s root visual. As mentioned, this is not a problem when the application runs inside the browser.

So, for example, this will fail (timeout):

private void Application_Startup(object sender, StartupEventArgs e)
{
    myService.MyMethodCompleted((s, e) => this.RootVisual = new MyPage());
    myService.MyMethodAsync();
}

while this will work fine:

private void Application_Startup(object sender, StartupEventArgs e)
{
    this.RootVisual = new MyPage();
    myService.MyMethodAsync();
}

On a side note, remember that RootVisual can only be set once. I haven’t checked what happens with Silverlight 4, but if you are seeing weird behaviours it may be worth it to check this before setting everything on fire.

I hope I saved you long hours sniffing http traffic, checking for crossdomain issues, etc… :-)

Happy coding!